TITLE

Adaptive wild bootstrap tests for a unit root with non‐stationary volatility

AUTHOR(S)
Boswijk, H. Peter; Zu, Yang
PUB. DATE
June 2018
SOURCE
Econometrics Journal;Jun2018, Vol. 21 Issue 2, p87
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Summary: Recent research has emphasized that permanent changes in the innovation variance (caused by structural shifts or an integrated volatility process) lead to size distortions in conventional unit root tests. It has been shown how these size distortions can be resolved using the wild bootstrap. In this paper, we first derive the asymptotic power envelope for the unit root testing problem when the non‐stationary volatility process is known. Next, we show that under suitable conditions, adaptation with respect to the volatility process is possible, in the sense that non‐parametric estimation of the volatility process leads to the same asymptotic power envelope. Implementation of the resulting test involves cross‐validation and the wild bootstrap. A Monte Carlo experiment shows that the asymptotic results are reflected in finite sample properties, and an empirical analysis of real exchange rates illustrates the applicability of the proposed procedures.
ACCESSION #
130417821

 

Related Articles

  • Introducing model uncertainty by moving blocks bootstrap. Alonso, Andrés M.; Peña, Daniel; Romo, Juan // Statistical Papers;Mar2006, Vol. 47 Issue 2, p167 

    It is common in parametric bootstrap to select the model from the data, and then treat as if it were the true model. Chatfield (1993, 1996) has shown that ignoring the model uncertainty may seriously undermine the coverage accuracy of prediction intervals. In this paper, we propose a method...

  • Resampling Unbalanced Ranked Set Samples With Applications in Testing Hypothesis About the Population Mean. Amiri, Saeid; Jafari Jozani, Mohammad; Modarres, Reza // Journal of Agricultural, Biological & Environmental Statistics (;Mar2014, Vol. 19 Issue 1, p1 

    Ranked set sampling is a sampling approach that could lead to improved statistical inference when the actual measurement of the variable of interest is difficult or expensive to obtain but sampling units can be easily ordered by some means without actual quantification. In this paper, we...

  • Nonlinear Varying-Coefficient Models with Applications to a Photosynthesis Study. Kürüm, Esra; Li, Runze; Wang, Yang; Şentürk, Damla // Journal of Agricultural, Biological & Environmental Statistics (;Mar2014, Vol. 19 Issue 1, p57 

    Motivated by a study on factors affecting the level of photosynthetic activity in a natural ecosystem, we propose nonlinear varying-coefficient models, in which the relationship between the predictors and the response variable is allowed to be nonlinear. One-step local linear estimators are...

  • Field Significance Revisited: Spatial Bias Errors in Forecasts as Applied to the Eta Model. Elmore, Kimberly L.; Baldwin, Michael E.; Schultz, David M. // Monthly Weather Review;Feb2006, Vol. 134 Issue 2, p519 

    The spatial structure of bias errors in numerical model output is valuable to both model developers and operational forecasters, especially if the field containing the structure itself has statistical significance in the face of naturally occurring spatial correlation. A semiparametric Monte...

  • Bootstrap determination of the reliability of b-values: an assessment of statistical estimators with synthetic magnitude series. Bengoubou-Valérius, Mendy; Gibert, Dominique // Natural Hazards;Jan2013, Vol. 65 Issue 1, p443 

    We consider some practical issues of the determination of the b-value of sequences of magnitudes with the bootstrap method for short series of length L and various quantization levels $$\Updelta m$$ of the magnitude. Preliminary Monte Carlo tests performed with $$\Updelta m = 0$$ demonstrate the...

  • Comparing exponential location parameters with several controls under heteroscedasticity. Malekzadeh, A.; Kharrati-Kopaei, M.; Sadooghi-Alvandi, S. // Computational Statistics;Oct2014, Vol. 29 Issue 5, p1083 

    Suppose that random samples are taken from $$k$$ treatment groups and $$l$$ control groups, where the observations in each group have a two-parameter exponential distribution. We consider the problem of constructing simultaneous confidence intervals for the differences between location...

  • Wild bootstrap tests for unit root in ESTAR models. Maki, Daiki // Statistical Methods & Applications;Sep2015, Vol. 24 Issue 3, p475 

    This paper introduces wild bootstrap tests for unit root in exponential smooth transition autoregressive (ESTAR) models. Asymptotic unit root tests in ESTAR models have severe size distortions in the presence of heteroskedastic variances such as generalized autoregressive conditional...

  • Statistical Analysis of Historical Extreme Water Levels for the U.S. North Atlantic Coast Using Monte Carlo Life-Cycle Simulation. Nadal-Caraballo, Norberto C.; Melby, Jeffrey A.; Gonzalez, Victor M. // Journal of Coastal Research;Jan2016, Vol. 32 Issue 1, p35 

    Nadal-Caraballo, N.C.; Melby, J.A., and Gonzalez, V.M., 2016. Statistical analysis of historical extreme water levels for the U.S. North Atlantic coast using Monte Carlo life-cycle simulation. A statistical analysis of extreme water levels was performed for 23 locations throughout the U.S. North...

  • The Rescaled Bootstrap Applied to the Variance Estimation of Relative Poverty Lines: Results Derived from the EU-SILC. Álvarez, E.; García-Fernández, R. M.; Muñoz, J. F.; Blanco-Encomienda, F. J. // International Journal of Economic Research;Jul-Dec2014, Vol. 11 Issue 3, p459 

    The poverty line is a threshold that divides a given population into poor and nonpoor. It is unknown in practice, and for this reason it is estimated by using survey data. The variance estimation and the construction of confidence intervals are common problems when estimating a given parameter...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics